Delta Hedging in Financial Engineering: Towards a Model-Free Approach
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References listed on IDEAS
- Michel Fliess & C'edric Join, 2009. "A mathematical proof of the existence of trends in financial time series," Papers 0901.1945, arXiv.org.
- Michel Fliess & Cédric Join & Mamadou Mboup, 2010. "Algebraic change-point detection," Post-Print inria-00439226, HAL.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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KeywordsFinancial engineering; delta hedging; dynamic hedging; trends; quick fluctuations; abrupt changes; jumps; tracking control; model-free control;
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